Fuzhe Huang

Nankai University

94 Weijin Road

Tianjin, 300071

China

SCHOLARLY PAPERS

2

DOWNLOADS

20

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Time to Build and Bond Risk Premia

Number of pages: 42 Posted: 28 Nov 2020
Bin Guo, Fuzhe Huang and Kai Li
Nankai University - School of Finance, Nankai University and Macquarie Business School, Macquarie University
Downloads 20 (637,157)

Abstract:

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Time to build, CIR model, bond risk premia, path dependence, Non- Markovian asset pricing, stochastic delay differential equations.

2.

Robust Asset-Liability Management with CRRA Utility in Regime-Switching Market: A Continuous-time Model

Posted: 07 Sep 2019
Xiaowei Chen, Fuzhe Huang and Xiufang Li
Nankai University, Nankai University and Nankai University

Abstract:

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Asset-liability Management; Regime-switching; robustness; CRRA Utility